Publikationsliste Dr. Denis Belomestny
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Nonparametric statistical inference for compound modelsIn: Statistics: A Journal of Theoretical and Applied Statistics (2024) in pressOnline Volltext: dx.doi.org/
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov modelsIn: Finance and Stochastics (2024) in pressOnline Volltext: dx.doi.org/ (Open Access)
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Demonstration-Regularized RL
12th International Conference on Learning Representations, ICLR 2024, May 7th to 11th, 2024, Vienna, Austria,Vienna (2024) -
Theoretical guarantees for neural control variates in MCMCIn: Mathematics and Computers in Simulation Jg. 220 (2024) S. 382 - 405Online Volltext: dx.doi.org/ (Open Access)
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Statistical inference for scale mixture models via Mellin transform approachIn: Statistics: A Journal of Theoretical and Applied Statistics Jg. 58 (2024) Nr. 1, S. 209 - 229Online Volltext: dx.doi.org/ (Open Access)
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Model-free Posterior Sampling via Learning Rate RandomizationIn: Advances in neural information processing systems : ... proceedings of the ... conference Jg. 36 (2023)
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Rates of convergence for density estimation with generative adversarial networksIn: Journal of Machine Learning Research Jg. 24 (2023) S. 1 - 47Online Volltext (Open Access)
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Demonstration of the feasibility and practical value of direct acoustic measurements in liquid metalsIn: Kompleksnoe Ispolzovanie Mineralnogo Syrâ (2023) Nr. 2, S. 17 - 33
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Fast Rates for Maximum Entropy ExplorationIn: Proceedings of the 40th International Conference on Machine Learning (ICML 2023) / 40th International Conference on Machine Learning (ICML 2023): Honolulu, 23 - 29 July 2023 / Krause, A.; Brunskill, E.; Cho, K.; Engelhardt, B.; Sabato, S.; Scarlett, J. (Hrsg.) 2023, S. 34161 - 34221
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PrefaceIn: Foundations of Modern Statistics: Festschrift in Honor of Vladimir Spokoiny, Berlin, Germany, November 6–8, 2019, Moscow, Russia, November 30, 2019 / Belomestny, Denis; Butucea, Cristina; Mammen, Enno; Moulines, Eric; Reiß, Markus; Ulyanov, Vladimir V. (2023) S. v - vii
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From optimal martingales to randomized dual optimal stoppingIn: Quantitative Finance Jg. 23 (2023) Nr. 7-8, S. 1099 - 1113Online Volltext: dx.doi.org/ (Open Access)
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Semiparametric estimation of McKean–Vlasov SDEsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 59 (2023) Nr. 1, S. 79 - 96Online Volltext: dx.doi.org/ (Open Access)
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Sparse Constrained Projection Approximation Subspace TrackingIn: Foundations of Modern Statistics: Festschrift in Honor of Vladimir Spokoiny, Berlin, Germany, November 6–8, 2019, Moscow, Russia, November 30, 2019 / Belomestny, Denis; Butucea, Cristina; Mammen, Enno; Moulines, Eric; Reiß, Markus; Ulyanov, Vladimir V. 2023, S. 323 - 354Online Volltext: dx.doi.org/ (Open Access)
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Numerical modeling of the task of support tension near cleaningIn: Kompleksnoe Ispolzovanie Mineralnogo Syrâ Jg. 1 (2023) Nr. 324, S. 83 - 88Online Volltext: dx.doi.org/ (Open Access)
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Simultaneous approximation of a smooth function and its derivatives by deep neural networks with piecewise-polynomial activationsIn: Neural Networks Jg. 161 (2023) S. 242 - 253Online Volltext: dx.doi.org/ (Open Access)
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Weak solutions to gamma-driven stochastic differential equationsIn: Indagationes Mathematicae Jg. 34 (2023) Nr. 4, S. 820 - 829Online Volltext: dx.doi.org/ (Open Access)
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Solving Optimal Stopping Problems via Randomization and Empirical Dual OptimizationIn: Mathematics of Operations Research Jg. 48 (2023) Nr. 3, S. 1454 - 1480Online Volltext: dx.doi.org/
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Optimistic Posterior Sampling for Reinforcement Learning with Few Samples and Tight GuaranteesIn: Thirty-Sixth Conference on Neural Information Processing Systems: Proceedings / Thirty-Sixth Conference on Neural Information Processing Systems, NeurIPS 2022, New Orleans, Louisiana, United States of America, November 2022 2022
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From Dirichlet to Rubin : Optimistic Exploration in RL without BonusesIn: Proceedings of the 39 th International Conference on Machine Learning / 39 th International Conference on Machine Learning, Baltimore, Maryland, USA, PMLR 162, 2022 2022, S. 21380 - 21431Online Volltext (Open Access)
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Investigation of the Stress State of Mine Workings Using Methods of Deformable Solid MechanicsIn: Eurasian Physical Technical Journal Jg. 19 (2022) Nr. 4, S. 67 - 72Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Reinforced optimal controlIn: Communications in Mathematical Sciences Jg. 20 (2022) Nr. 7, S. 1951 - 1978Online Volltext: dx.doi.org/ (Open Access)
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Solving optimal stopping problems under model uncertainty via empirical dual optimisationIn: Finance and Stochastics Jg. 26 (2022) Nr. 3, S. 461 - 503Online Volltext: dx.doi.org/ (Open Access)
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A versatile deep-neural-network-based music preprocessing and remixing scheme for cochlear implant listenersIn: Journal of the Acoustical Society of America (JASA) Jg. 151 (2022) Nr. 5, S. 2975 - 2986Online Volltext: dx.doi.org/
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Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equationsIn: Bernoulli Jg. 28 (2022) Nr. 4, S. 2151 - 2180Online Volltext: dx.doi.org/ (Open Access)
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Variance reduction for additive functionals of Markov chains via martingale representationsIn: Statistics and Computing Jg. 32 (2022) Nr. 1, 16Online Volltext: dx.doi.org/ (Open Access)
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Empirical variance minimization with applications in variance reduction and optimal controlIn: Bernoulli Jg. 28 (2022) Nr. 2, S. 1382 - 1407Online Volltext: dx.doi.org/ (Open Access)
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Density deconvolution under general assumptions on the distribution of measurement errorsIn: Annals of Statistics Jg. 49 (2021) Nr. 2, S. 615 - 649Online Volltext: dx.doi.org/ (Open Access)
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Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicityIn: Mathematics and Computers in Simulation Jg. 181 (2021) S. 351 - 363Online Volltext: dx.doi.org/ (Open Access)
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Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMCIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) Jg. 9 (2021) Nr. 2, S. 507 - 535Online Volltext: dx.doi.org/ (Open Access)
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Bayesian TVP-VARX models with time invariant long-run multipliersIn: Economic Modelling Jg. 101 (2021) 105531Online Volltext: dx.doi.org/
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Randomized optimal stopping algorithms and their convergence analysisIn: SIAM Journal on Financial Mathematics Jg. 12 (2021) Nr. 3, S. 1201 - 1225Online Volltext: dx.doi.org/ (Open Access)
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Finite difference method implementation for numericalintegration hydrodynamic equations meltsIn: Eurasian Physical Technical Journal Jg. 17 (2020) Nr. 1, S. 145 - 150Online Volltext: dx.doi.org/ (Open Access)
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Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle SystemsIn: SIAM Journal on Control and Optimization Jg. 58 (2020) Nr. 1, S. 529 - 550Online Volltext: dx.doi.org/ (Open Access)
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Optimal stopping via reinforced regressionIn: Communications in Mathematical Sciences Jg. 18 (2020) Nr. 1, S. 109 - 121Online Volltext: dx.doi.org/ (Open Access)
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Semitractability of optimal stopping problems via a weighted stochastic mesh algorithmIn: Mathematical Finance Jg. 30 (2020) Nr. 4, S. 1591 - 1616Online Volltext: dx.doi.org/ (Open Access)
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Solving linear parabolic rough partial differential equationsIn: Journal of Mathematical Analysis and Applications Jg. 490 (2020) Nr. 1, 124236Online Volltext: dx.doi.org/ (Open Access)
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Nonparametric density estimation from observations with multiplicative measurement errorsIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 56 (2020) Nr. 1, S. 36 - 37Online Volltext: dx.doi.org/ (Open Access)
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Variance reduction for Markov chains with application to MCMCIn: Statistics and Computing Jg. 30 (2020) Nr. 4, S. 973 - 997Online Volltext: dx.doi.org/ (Open Access)
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Functions of atoms radial distribution and pair potential of some semiconductors meltsIn: The Bulletin of the National Academy of Sciences of the Republic of Kazakhstan (2019) Nr. 4, S. 6 - 14Online Volltext: dx.doi.org/ (Open Access)
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Entscheidungen mathematisch treffen : Approximative Dynamische Programmierung mit Tiefen Neuronalen NetzwerkenIn: Unikate: Berichte aus Forschung und Lehre (2019) Nr. 53: Mathematik - Herausforderung des Nichtlinearen, S. 73 - 78Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Variance reduction for MCMC methods via martingale representations(2019) 30 SeitenOnline Volltext (Open Access)
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Nonparametric Bayesian inference for Gamma-type Lévy subordinatorsIn: Communications in Mathematical Sciences Jg. 17 (2019) Nr. 3, S. 781 - 816Online Volltext: dx.doi.org/ (Open Access)
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Fundamental characteristics of reliability in technological processes in ferrous metal industryIn: The Bulletin of the National Academy of Sciences of the Republic of Kazakhstan Jg. 2 (2019) Nr. 378, S. 120 - 127Online Volltext: dx.doi.org/
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Low-frequency estimation of continuous-time moving average Lévy processesIn: Bernoulli Jg. 25 (2019) Nr. 2, S. 902 - 931Online Volltext: dx.doi.org/ (Open Access)
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Sparse covariance matrix estimation in high-dimensional deconvolutionIn: Bernoulli Jg. 25 (2019) Nr. 3, S. 1901 - 1938Online Volltext: dx.doi.org/ (Open Access)
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Spectral complexity reduction of music signals for cochlear implant users based on subspace trackingIn: 27th European Signal Processing Conference (EUSIPCO) / EUSIPCO, A CorUña,Spain, September 2-6,2019 2019Online Volltext: dx.doi.org/
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Minimax theorems for American options without time-consistencyIn: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238Online Volltext: dx.doi.org/
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Statistical inference for moving-average Lévy-driven processes : Fourier-based approachIn: Statistica Neerlandica Jg. 73 (2019) Nr. 1, S. 100 - 117Online Volltext: dx.doi.org/ (Open Access)
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Sobolev-Hermite versus Sobolev nonparametric density estimation on RIn: Annals of the Institute of Statistical Mathematics Jg. 71 (2019) Nr. 1, S. 29 - 62Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Optimal Stopping via Pathwise Dual Empirical MaximisationIn: Applied Mathematics and Optimization Jg. 79 (2019) Nr. 3, S. 715 - 741Online Volltext: dx.doi.org/
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Recurrent relations for correlation functionsIn: Bulletin of the Karaganda University: Physics series (2018) Nr. 1 (89), S. 8 - 15
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Advanced simulation-based methods for optimal stopping and control : With applications in financeLondon (2018)Online Volltext: dx.doi.org/
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Regression-based complexity reduction of the nested monte carlo methodsIn: SIAM Journal on Financial Mathematics Jg. 9 (2018) Nr. 2, S. 665 - 689Online Volltext: dx.doi.org/ (Open Access)
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Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processesIn: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 54 (2018) Nr. 3, S. 1583 - 1621Online Volltext: dx.doi.org/ (Open Access)
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Projected particle methods for solving McKean-Vlasov stochastic differential equationsIn: SIAM Journal on Numerical Analysis Jg. 56 (2018) Nr. 6, S. 3169 - 3195Online Volltext: dx.doi.org/ (Open Access)
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Semiparametric estimation in the normal variance-mean mixture modelIn: Statistics: A Journal of Theoretical and Applied Statistics Jg. 52 (2018) Nr. 3, S. 571 - 589Online Volltext: dx.doi.org/ (Open Access)
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Variance Reduction in Monte Carlo Estimators via Empirical Variance MinimizationIn: Doklady Mathematics Jg. 98 (2018) Nr. 2, S. 494 - 497Online Volltext: dx.doi.org/
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Variance reduction for discretised diffusions via regressionIn: Journal of Mathematical Analysis and Applications Jg. 458 (2018) Nr. 1, S. 393 - 418Online Volltext: dx.doi.org/ (Open Access)
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Stratified regression-based variance reduction approach for weak approximation schemesIn: Mathematics and Computers in Simulation Jg. 143 (2018) S. 125 - 137Online Volltext: dx.doi.org/ (Open Access)
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Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”In: The Annals of Applied Probability Jg. 27 (2017) Nr. 2, S. 1289 - 1293Online Volltext: dx.doi.org/ (Open Access)
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Truncated control variates for weak approximation schemesIn: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42Online Volltext: dx.doi.org/ (Open Access)
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Generalized Post–Widder inversion formula with application to statisticsIn: Journal of Mathematical Analysis and Applications Jg. 455 (2017) Nr. 1, S. 89 - 104Online Volltext: dx.doi.org/ (Open Access)
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Correction to: Nonparametric Laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 11 (2017) Nr. 2, S. 4845 - 4850Online Volltext: dx.doi.org/ (Open Access)
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Segmentation of music signals based on explained variance ratio for applications in spectral complexity reductionIn: ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings / ICASSP 2017; New Orleans; United States; 5 March 2017 through 9 March 2017 2017, S. 206 - 210Online Volltext: dx.doi.org/
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Optimal stopping under probability distortionsIn: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833Online Volltext: dx.doi.org/
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Sieve Estimation of the Minimal Entropy Martingale Marginal Density with Application to Pricing Kernel EstimationIn: International Journal of Theoretical and Applied Finance Jg. 20 (2017) Nr. 6, S. 1750041Online Volltext: dx.doi.org/
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Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEsIn: Bernoulli Jg. 23 (2017) Nr. 2, S. 927 - 950Online Volltext: dx.doi.org/
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Regression-Based Variance Reduction Approach for Strong Approximation SchemesIn: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir (Hrsg.) 2017, S. 131 - 178Online Volltext: dx.doi.org/
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Unbiased simulation of distributions with explicitly known integral transformsIn: Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014 / Cools, Ronald; Nuyens, Dirk (Hrsg.) 2016, S. 229 - 244Online Volltext: dx.doi.org/
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Nonparametric laguerre estimation in the multiplicative censoring modelIn: Electronic Journal of Statistics Jg. 10 (2016) Nr. 2, S. 3114 - 3152Online Volltext: dx.doi.org/ (Open Access)
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Statistical inference for time-changed Lévy processes via Mellin transform approachIn: Stochastic Processes and their Applications Jg. 126 (2016) Nr. 7, S. 2092 - 2122Online Volltext: dx.doi.org/
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Optimal stopping under model uncertainty : Randomized stopping times approachIn: The Annals of Applied Probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295Online Volltext: dx.doi.org/ (Open Access)
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Optimal stopping under probability distortions and law invariant coherent risk measures(2016)
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Pricing Bermudan options via multilevel approximation methodsIn: SIAM Journal on Financial Mathematics Jg. 6 (2015) Nr. 1, S. 448 - 466Online Volltext: dx.doi.org/
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Addendum to: Multilevel dual approach for pricing American style derivativesIn: Finance and Stochastics Jg. 19 (2015) Nr. 3, S. 681 - 684Online Volltext: dx.doi.org/
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Lévy Matters IV : Estimation for Discretely Observed Lévy ProcessesIn: Lecture Notes in Mathematics Cham Jg. 2128 (2015) XV, 286 S.Online Volltext: dx.doi.org/; Online Volltext: dx.doi.org/
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Stability of Characterization of the Independence of Random Variables by the Independence of Linear StatisticsIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics Jg. 59 (2015) Nr. 4, S. 672 - 677Online Volltext: dx.doi.org/
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Multilevel simulation based policy iteration for optimal stopping-convergence and complexityIn: SIAM/ASA Journal on Uncertainty Quantification (JUQ) Jg. 3 (2015) Nr. 1, S. 460 - 483Online Volltext: dx.doi.org/ Online Volltext (Open Access)
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Estimation and calibration of lévy models via Fourier methodsIn: Lévy Matters IV: Estimation for Discretely Observed Lévy Processes 2015, S. 1 - 76Online Volltext: dx.doi.org/
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Statistical Skorohod embedding problem : optimality and asymptotic normalityIn: Statistics and Probability Letters Jg. 104 (2015) S. 169 - 180Online Volltext: dx.doi.org/
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Statistical inference for generalized Ornstein-Uhlenbeck processesIn: Electronic Journal of Statistics Jg. 9 (2015) Nr. 2, S. 1974 - 2006Online Volltext: dx.doi.org/ (Open Access)
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Solving stochastic dynamic programs by convex optimization and simulationIn: Extraction of Quantifiable Information from Complex Systems Jg. 102 2014, S. 1 - 23Online Volltext: dx.doi.org/
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Concentration inequalities for smooth random fieldsIn: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics Jg. 58 (2014) Nr. 2, S. 314 - 323Online Volltext: dx.doi.org/ (Open Access)
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Abelian theorems for stochastic volatility models with application to the estimation of jump activityIn: Stochastic Processes and their Applications Jg. 123 (2013) Nr. 1, S. 15 - 44Online Volltext: dx.doi.org/ (Open Access)
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Solving optimal stopping problems via empirical dual optimizationIn: The Annals of Applied Probability Jg. 23 (2013) Nr. 5, S. 1988 - 2019Online Volltext: dx.doi.org/
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Estimation of the activity of jumps in time-changed Lévy modelsIn: Electronic Journal of Statistics Jg. 7 (2013) Nr. 1, S. 2970 - 3003Online Volltext: dx.doi.org/
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Multilevel dual approach for pricing American style derivativesIn: Finance and Stochastics Jg. 17 (2013) Nr. 4, S. 717 - 742Online Volltext: dx.doi.org/
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Central limit theorems for law-invariant coherent risk measuresIn: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21Online Volltext: dx.doi.org/
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Tight bounds for American options via multilevel Monte CarloIn: Proceedings of the 2012 Winter Simulation Conference (WSC) / Winter Simulation Conference (WSC), 9 - 12 Dec. 2012, Berlin, Germany 2012Online Volltext: dx.doi.org/
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Spectral estimation of the Lévy density in partially observed affine modelsIn: Stochastic Processes and their Applications Jg. 121 (2011) Nr. 6, S. 1217 - 1244Online Volltext: dx.doi.org/ (Open Access)
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Statistical inference for time-changed Lévy processes via composite characteristic function estimationIn: The Annals of Statistics: an official journal of the Institute of Mathematical Statistics Jg. 39 (2011) Nr. 4, S. 2205 - 2242Online Volltext: dx.doi.org/ (Open Access)
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Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary FormulationIn: Theory of probability and its applications Jg. 54 (2010) Nr. 1, S. 14 - 28Online Volltext: dx.doi.org/
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Completion and continuation of nonlinear traffic time series : A probabilistic approachIn: Journal of Physics A: Mathematical and General Jg. 36 (2003) Nr. 45, S. 11369 - 11383Online Volltext: dx.doi.org/